Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 8 8 9
Score -2.66 -1.74 -1.08
Market Cap (Millions USD) 1479.26 1511.01 1392.7
Predicted Beta 0.18 0.18 0.18
Idiosyncratic Volatility 0.83 0.86 1.09

Annualized return and volatility

EWA
Annualized Return 0.0812
Annualized Std Dev 0.2620
Annualized Sharpe (Rf=0%) 0.3101

Row

Daily Return Statistics

EWA
Observations 5112.0000
NAs 2.0000
Minimum -0.1239
Quartile 1 -0.0068
Median 0.0005
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0084
Maximum 0.2075
SE Mean 0.0002
LCL Mean (0.95) 0.0000
UCL Mean (0.95) 0.0009
Variance 0.0003
Stdev 0.0165
Skewness 0.1323
Kurtosis 11.5463

Downside Risk

EWA
Semi Deviation 0.0118
Gain Deviation 0.0118
Loss Deviation 0.0127
Downside Deviation (MAR=210%) 0.0163
Downside Deviation (Rf=0%) 0.0116
Downside Deviation (0%) 0.0116
Maximum Drawdown 0.6698
Historical VaR (95%) -0.0251
Historical ES (95%) -0.0394
Modified VaR (95%) -0.0222
Modified ES (95%) -0.0222
From Trough To Depth Length To Trough Recovery
2007-11-01 2008-11-20 2013-01-29 -0.6698 1342 273 1069
2014-09-04 2016-01-15 2017-12-27 -0.3537 849 352 497
2000-01-19 2001-09-21 2003-05-06 -0.2929 842 427 415
2007-07-24 2007-08-16 2007-09-24 -0.2046 45 18 27
2013-05-01 2013-06-20 2014-04-09 -0.1989 244 37 207

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWA
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 -0.6 -0.6 0.0 -1.3 1.3 0.0 0.6 1.3 0.0 1.4 2.1 0.0 4.2
2001 0.6 -0.2 0.0 0.5 0.4 0.0 3.5 0.0 5.3 1.9 0.0 0.0 12.6
2002 -1.1 0.2 -0.6 -0.5 0.0 -0.6 -1.5 0.0 4.1 1.3 0.0 0.0 1.1
2003 0.0 0.0 0.2 0.7 0.0 0.1 0.6 0.0 1.1 0.0 0.4 0.0 3.2
2004 0.0 1.2 2.1 0.0 -0.1 -0.9 0.0 1.0 0.6 0.7 0.2 0.0 4.9
2005 1.0 -0.6 0.7 0.0 0.8 -1.0 0.5 2.1 0.0 -0.3 1.9 0.0 5.1
2006 -0.5 -0.5 0.0 1.0 -0.4 0.0 -0.4 0.5 0.0 1.7 -1.5 0.0 -0.3
2007 -0.3 -0.4 0.0 0.1 1.0 0.0 -1.8 0.0 2.5 -3.8 0.0 0.0 -2.7
2008 5.8 0.0 2.4 0.6 0.0 -1.9 -2.8 0.0 1.0 0.0 -8.5 0.0 -3.8
2009 0.0 0.0 1.7 0.8 4.2 0.4 0.0 -2.1 -3.6 0.0 2.4 0.0 3.7
2010 2.4 2.8 1.9 0.0 -3.1 0.1 0.0 5.6 1.1 0.7 2.8 0.0 14.8
2011 2.0 -2.2 1.2 0.0 -2.3 0.7 0.1 -1.0 0.0 -3.7 -0.9 0.0 -6.2
2012 1.0 0.6 0.0 0.5 -1.9 0.0 -0.3 0.0 1.0 0.0 0.0 0.0 1.0
2013 0.8 0.2 -0.4 -1.7 0.0 -0.5 0.0 0.0 0.8 -0.1 0.0 0.0 -0.9
2014 0.0 0.0 0.1 -0.9 0.0 0.5 -0.6 0.0 0.2 0.0 -1.5 0.0 -2.3
2015 0.0 0.0 0.2 0.6 -0.8 1.1 0.0 -4.6 0.8 0.0 2.8 0.0 0.0
2016 0.2 3.2 -0.6 0.0 -0.2 0.5 -1.1 0.5 0.0 -0.4 1.1 0.0 3.2
2017 0.5 1.1 0.0 1.0 -0.2 0.0 0.4 0.8 0.0 0.5 0.4 0.0 4.5
2018 0.5 -0.7 0.0 0.5 0.7 0.0 -0.8 0.0 -0.1 1.6 0.0 0.0 1.6
2019 -0.1 0.7 1.1 -0.4 0.0 -0.2 -0.5 0.0 -1.3 1.0 0.0 0.1 0.4

Row

Rolling Performance Chart

Snail Trail Chart